
{com}. 
. ****************************************
. **Peter K. Enns and Christopher Wlezien
. **Understanding Equation Balance in Time Series Regression: An Extension
. **Political Science Research Methods
. **Replication code for Figure 1, Table 4, Table 5 (Columns 1 & 2), 
. **column 3 of Table 5, comes from Grant & Lebo's (2016) FECM reanalysis of 
. **Volscho and Kelly Model 5 (from Grant & Lebo's supplementary appendix, p. 50)
. **Volscho and Kelly data can be obtained at: https://dataverse.harvard.edu/dataset.xhtml?persistentId=hdl:1902.1/18325
. **Rember to cite:
. **Volscho, Thomas W. and Nathan J. Kelly. 2012. "The Rise of the Super-Rich: Power
. **Resources, Taxes, Financial Markets, and the Dynamics of the Top 1 Percent, 1949 to
. **2008." American Sociological Review 77(5):679-699.
. ****************************************
. 
. *use "VoschloKelly2012.dta", clear
. 
. *********************************
. **Figure 1:
. *********************************
. twoway line top1_cg year
{res}{txt}
{com}. 
. 
. *********************************
. **Table 4: Time Sereis Properties of Variables Analyzed by V&K
. *********************************
. 
. **Column 1 (ADF Test)
. *ADF tests allowed for trend and lags(1) to start and then 
. *dropped when not sig and added a second lag where first was sig:
. 
. dfuller top1_cg if year>1948, regr trend

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -2.161            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.5121

{txt}{hline 13}{c TT}{hline 64}
D.top1_cg{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     top1_cg{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.1291144{col 28} .0597604{col 38}   -2.16{col 48} 0.035{col 58}-.2487826{col 70}-.0094463
      {txt}_trend{col 14}{c |}{res}{col 17} .0340806{col 28} .0134577{col 38}    2.53{col 48} 0.014{col 58}  .007132{col 70} .0610291
       {txt}_cons{col 14}{c |}{res}{col 17}  .811225{col 28} .5542911{col 38}    1.46{col 48} 0.149{col 58}-.2987238{col 70} 1.921174
{txt}{hline 13}{c BT}{hline 64}

{com}. dfuller dempres if year>1948, regr

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -2.893            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0462

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.dempres{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}dempres {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.2457143{col 26}{space 2} .0849423{col 37}{space 1}   -2.89{col 46}{space 3}0.005{col 54}{space 4}-.4157448{col 67}{space 3}-.0756837
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0857143{col 26}{space 2}   .05483{col 37}{space 1}    1.56{col 46}{space 3}0.123{col 54}{space 4}  -.02404{col 67}{space 3} .1954685
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller divided if year>1948, regr

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -3.491            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0082

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.divided{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3472222{col 26}{space 2} .0994711{col 37}{space 1}   -3.49{col 46}{space 3}0.001{col 54}{space 4}-.5463353{col 67}{space 3}-.1481091
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .2083333{col 26}{space 2}   .07705{col 37}{space 1}    2.70{col 46}{space 3}0.009{col 54}{space 4}  .054101{col 67}{space 3} .3625657
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller topmarg if year>1948, regr trend lags(1)

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -2.919            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.1563

{txt}{hline 13}{c TT}{hline 64}
D.topmarg{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     topmarg{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.1859741{col 28} .0637211{col 38}   -2.92{col 48} 0.005{col 58}-.3136229{col 70}-.0583254
{txt}{col 10}LD. {c |}{res}{col 17} .3058195{col 28} .1243271{col 38}    2.46{col 48} 0.017{col 58} .0567623{col 70} .5548766
      {txt}_trend{col 14}{c |}{res}{col 17} -.229318{col 28}  .080922{col 38}   -2.83{col 48} 0.006{col 58}-.3914244{col 70}-.0672117
       {txt}_cons{col 14}{c |}{res}{col 17} 17.76503{col 28} 6.282026{col 38}    2.83{col 48} 0.006{col 58} 5.180618{col 70} 30.34944
{txt}{hline 13}{c BT}{hline 64}

{com}. dfuller capgtax if year>1948, regr lags(1)

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -1.718            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.4220

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.capgtax{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}capgtax {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0963397{col 26}{space 2} .0560875{col 37}{space 1}   -1.72{col 46}{space 3}0.091{col 54}{space 4}-.2086531{col 67}{space 3} .0159736
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .2695748{col 26}{space 2} .1313302{col 37}{space 1}    2.05{col 46}{space 3}0.045{col 54}{space 4} .0065908{col 67}{space 3} .5325589
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 2.409096{col 26}{space 2} 1.512295{col 37}{space 1}    1.59{col 46}{space 3}0.117{col 54}{space 4}-.6192211{col 67}{space 3} 5.437414
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller tbill if year>1948, regr lags(2)

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       61

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -1.830            -3.565            -2.921            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.3654

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.tbill_3{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}tbill_3 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.1125252{col 26}{space 2} .0614726{col 37}{space 1}   -1.83{col 46}{space 3}0.072{col 54}{space 4} -.235622{col 67}{space 3} .0105716
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}  .369429{col 26}{space 2} .1223898{col 37}{space 1}    3.02{col 46}{space 3}0.004{col 54}{space 4} .1243478{col 67}{space 3} .6145103
{txt}{space 8}L2D. {c |}{col 14}{res}{space 2}-.3050813{col 26}{space 2} .1300979{col 37}{space 1}   -2.35{col 46}{space 3}0.023{col 54}{space 4}-.5655979{col 67}{space 3}-.0445648
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .5352041{col 26}{space 2} .3315766{col 37}{space 1}    1.61{col 46}{space 3}0.112{col 54}{space 4}-.1287667{col 67}{space 3} 1.199175
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller openness if year>1948, regr trend

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       61

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -3.334            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0608

{txt}{hline 13}{c TT}{hline 64}
D.openness{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
    openness{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.2871785{col 28} .0861354{col 38}   -3.33{col 48} 0.001{col 58}-.4595973{col 70}-.1147598
      {txt}_trend{col 14}{c |}{res}{col 17} .1044168{col 28} .0315654{col 38}    3.31{col 48} 0.002{col 58} .0412318{col 70} .1676019
       {txt}_cons{col 14}{c |}{res}{col 17} 1.804625{col 28} .5675585{col 38}    3.18{col 48} 0.002{col 58} .6685331{col 70} 2.940717
{txt}{hline 13}{c BT}{hline 64}

{com}. dfuller ln_rgdp if year>1948, regr

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       61

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -2.041            -3.565            -2.921            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.2690

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1} D.ln_rgdp05{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 3}ln_rgdp05 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0105205{col 26}{space 2} .0051552{col 37}{space 1}   -2.04{col 46}{space 3}0.046{col 54}{space 4}-.0208361{col 67}{space 3}-.0002049
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .122057{col 26}{space 2} .0443413{col 37}{space 1}    2.75{col 46}{space 3}0.008{col 54}{space 4} .0333303{col 67}{space 3} .2107837
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller real_sp if year>1948, regr lags(1) trend

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       61

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -2.753            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.2149

{txt}{hline 13}{c TT}{hline 64}
D.real_sp{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     real_sp{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.1333185{col 28} .0484351{col 38}   -2.75{col 48} 0.008{col 58}-.2303081{col 70} -.036329
{txt}{col 10}LD. {c |}{res}{col 17} .5618154{col 28}  .118527{col 38}    4.74{col 48} 0.000{col 58} .3244691{col 70} .7991616
      {txt}_trend{col 14}{c |}{res}{col 17} .1994373{col 28} .1091784{col 38}    1.83{col 48} 0.073{col 58}-.0191886{col 70} .4180632
       {txt}_cons{col 14}{c |}{res}{col 17} 2.340187{col 28} 2.365863{col 38}    0.99{col 48} 0.327{col 58}-2.397372{col 70} 7.077746
{txt}{hline 13}{c BT}{hline 64}

{com}. dfuller shiller if year>1948, regr lags(1)

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -6.196            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0000

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}D.          {col 14}{c |}
{col 1} shiller_hpi{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 1}shiller_hpi {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.1851317{col 26}{space 2} .0298806{col 37}{space 1}   -6.20{col 46}{space 3}0.000{col 54}{space 4}-.2449665{col 67}{space 3}-.1252969
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} 1.157031{col 26}{space 2} .1123294{col 37}{space 1}   10.30{col 46}{space 3}0.000{col 54}{space 4} .9320947{col 67}{space 3} 1.381966
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 2.107019{col 26}{space 2} .3488792{col 37}{space 1}    6.04{col 46}{space 3}0.000{col 54}{space 4} 1.408401{col 67}{space 3} 2.805638
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. dfuller union if year>1948, regr lags(2) trend

{txt}Augmented Dickey-Fuller test for unit root         Number of obs   = {res}       61

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -1.868            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.6710

{txt}{hline 13}{c TT}{hline 64}
D.union{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
       union{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.0673616{col 28} .0360588{col 38}   -1.87{col 48} 0.067{col 58}-.1395959{col 70} .0048728
{txt}{col 10}LD. {c |}{res}{col 17} .2598591{col 28} .1252701{col 38}    2.07{col 48} 0.043{col 58}  .008913{col 70} .5108052
        {txt}L2D. {c |}{res}{col 17} .2831281{col 28}  .122168{col 38}    2.32{col 48} 0.024{col 58} .0383963{col 70}   .52786
      {txt}_trend{col 14}{c |}{res}{col 17} -.037283{col 28} .0208627{col 38}   -1.79{col 48} 0.079{col 58} -.079076{col 70}   .00451
       {txt}_cons{col 14}{c |}{res}{col 17}  2.34133{col 28} 1.398871{col 38}    1.67{col 48} 0.100{col 58} -.460945{col 70} 5.143605
{txt}{hline 13}{c BT}{hline 64}

{com}. dfuller cdpercen if year>1948, regr trend

{txt}Dickey-Fuller test for unit root                   Number of obs   = {res}       60

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(t)         {res}    -3.722            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0209

{txt}{hline 13}{c TT}{hline 64}
D.cdpercen{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
    cdpercen{col 14}{c |}
{col 10}L1. {c |}{res}{col 17}-.3124557{col 28} .0839442{col 38}   -3.72{col 48} 0.000{col 58} -.480551{col 70}-.1443604
      {txt}_trend{col 14}{c |}{res}{col 17} -.063542{col 28} .0305618{col 38}   -2.08{col 48} 0.042{col 58}-.1247408{col 70}-.0023431
       {txt}_cons{col 14}{c |}{res}{col 17} 19.55945{col 28} 5.107721{col 38}    3.83{col 48} 0.000{col 58} 9.331419{col 70} 29.78749
{txt}{hline 13}{c BT}{hline 64}

{com}. 
. **Column 2 (Phillips-Perron test)
. pperron top1_cg if year>1948, regr trend

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -6.662           -26.040           -19.980           -16.940
{txt} Z(t)         {res}    -2.040            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.5794

{txt}{hline 13}{c TT}{hline 64}
top1_cg{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     top1_cg{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .8708856{col 28} .0597604{col 38}   14.57{col 48} 0.000{col 58} .7512174{col 70} .9905537
      {txt}_trend{col 14}{c |}{res}{col 17} .0340806{col 28} .0134577{col 38}    2.53{col 48} 0.014{col 58}  .007132{col 70} .0610291
       {txt}_cons{col 14}{c |}{res}{col 17}  .811225{col 28} .5542911{col 38}    1.46{col 48} 0.149{col 58}-.2987238{col 70} 1.921174
{txt}{hline 13}{c BT}{hline 64}

{com}. pperron dempres if year>1948, regr

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}   -17.478           -19.080           -13.380           -10.760
{txt} Z(t)         {res}    -3.116            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0254

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     dempres{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}dempres {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .7542857{col 26}{space 2} .0849423{col 37}{space 1}    8.88{col 46}{space 3}0.000{col 54}{space 4} .5842552{col 67}{space 3} .9243163
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .0857143{col 26}{space 2}   .05483{col 37}{space 1}    1.56{col 46}{space 3}0.123{col 54}{space 4}  -.02404{col 67}{space 3} .1954685
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron divided if year>1948, regr

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}   -24.805           -19.080           -13.380           -10.760
{txt} Z(t)         {res}    -3.757            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0034

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     divided{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .6527778{col 26}{space 2} .0994711{col 37}{space 1}    6.56{col 46}{space 3}0.000{col 54}{space 4} .4536647{col 67}{space 3} .8518909
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .2083333{col 26}{space 2}   .07705{col 37}{space 1}    2.70{col 46}{space 3}0.009{col 54}{space 4}  .054101{col 67}{space 3} .3625657
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron topmarg if year>1948, regr trend lags(1)

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        1

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}   -10.762           -26.040           -19.980           -16.940
{txt} Z(t)         {res}    -2.486            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.3351

{txt}{hline 13}{c TT}{hline 64}
topmarg{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     topmarg{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .8516518{col 28} .0645403{col 38}   13.20{col 48} 0.000{col 58}  .722412{col 70} .9808915
      {txt}_trend{col 14}{c |}{res}{col 17} -.186305{col 28} .0824363{col 38}   -2.26{col 48} 0.028{col 58}-.3513808{col 70}-.0212293
       {txt}_cons{col 14}{c |}{res}{col 17} 13.90251{col 28} 6.346372{col 38}    2.19{col 48} 0.033{col 58} 1.194123{col 70} 26.61091
{txt}{hline 13}{c BT}{hline 64}

{com}. pperron capgtax if year>1948, regr lags(1)

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        1

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -5.169           -19.080           -13.380           -10.760
{txt} Z(t)         {res}    -1.402            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.5812

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     capgtax{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}capgtax {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .9351268{col 26}{space 2} .0554263{col 37}{space 1}   16.87{col 46}{space 3}0.000{col 54}{space 4} .8241789{col 67}{space 3} 1.046075
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  1.54184{col 26}{space 2} 1.491758{col 37}{space 1}    1.03{col 46}{space 3}0.306{col 54}{space 4}-1.444238{col 67}{space 3} 4.527918
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron tbill if year>1948, regr lags(2)

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       61
                                                   {txt}Newey-West lags = {res}        2

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -8.579           -19.098           -13.388           -10.766
{txt} Z(t)         {res}    -2.035            -3.565            -2.921            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.2712

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}     tbill_3{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}tbill_3 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .8855025{col 26}{space 2} .0625917{col 37}{space 1}   14.15{col 46}{space 3}0.000{col 54}{space 4} .7602567{col 67}{space 3} 1.010748
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .5297635{col 26}{space 2} .3452636{col 37}{space 1}    1.53{col 46}{space 3}0.130{col 54}{space 4}-.1611074{col 67}{space 3} 1.220634
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron openness if year>1948, regr trend

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       61
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}   -17.633           -26.074           -19.998           -16.954
{txt} Z(t)         {res}    -3.342            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0597

{txt}{hline 13}{c TT}{hline 64}
openness{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
    openness{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .7128215{col 28} .0861354{col 38}    8.28{col 48} 0.000{col 58} .5404027{col 70} .8852402
      {txt}_trend{col 14}{c |}{res}{col 17} .1044168{col 28} .0315654{col 38}    3.31{col 48} 0.002{col 58} .0412318{col 70} .1676019
       {txt}_cons{col 14}{c |}{res}{col 17} 1.804625{col 28} .5675585{col 38}    3.18{col 48} 0.002{col 58} .6685331{col 70} 2.940717
{txt}{hline 13}{c BT}{hline 64}

{com}. pperron ln_rgdp if year>1948, regr

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       61
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -0.637           -19.098           -13.388           -10.766
{txt} Z(t)         {res}    -2.131            -3.565            -2.921            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.2323

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   ln_rgdp05{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 3}ln_rgdp05 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .9894795{col 26}{space 2} .0051552{col 37}{space 1}  191.94{col 46}{space 3}0.000{col 54}{space 4} .9791639{col 67}{space 3} .9997951
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2}  .122057{col 26}{space 2} .0443413{col 37}{space 1}    2.75{col 46}{space 3}0.008{col 54}{space 4} .0333303{col 67}{space 3} .2107837
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron real_sp if year>1948, regr lags(1) trend

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       61
                                                   {txt}Newey-West lags = {res}        1

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -7.803           -26.074           -19.998           -16.954
{txt} Z(t)         {res}    -1.923            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.6427

{txt}{hline 13}{c TT}{hline 64}
real_sp{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
     real_sp{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .9131255{col 28} .0555222{col 38}   16.45{col 48} 0.000{col 58} .8019858{col 70} 1.024265
      {txt}_trend{col 14}{c |}{res}{col 17} .1287644{col 28} .1265986{col 38}    1.02{col 48} 0.313{col 58}-.1246503{col 70} .3821791
       {txt}_cons{col 14}{c |}{res}{col 17} 2.628241{col 28} 2.768387{col 38}    0.95{col 48} 0.346{col 58}-2.913287{col 70} 8.169768
{txt}{hline 13}{c BT}{hline 64}

{com}. pperron shiller if year>1948, regr lags(1)

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        1

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -4.773           -19.080           -13.380           -10.760
{txt} Z(t)         {res}    -1.443            -3.566            -2.922            -2.596
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.5616

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1} shiller_hpi{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 1}shiller_hpi {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .9512479{col 26}{space 2} .0449193{col 37}{space 1}   21.18{col 46}{space 3}0.000{col 54}{space 4} .8613323{col 67}{space 3} 1.041164
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} .6464577{col 26}{space 2} .5345366{col 37}{space 1}    1.21{col 46}{space 3}0.231{col 54}{space 4}-.4235335{col 67}{space 3} 1.716449
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}

{com}. pperron union if year>1948, regr lags(2) trend

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       61
                                                   {txt}Newey-West lags = {res}        2

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}    -4.681           -26.074           -19.998           -16.954
{txt} Z(t)         {res}    -1.530            -4.126            -3.489            -3.173
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.8185

{txt}{hline 13}{c TT}{hline 64}
union{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
       union{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .9530537{col 28} .0392049{col 38}   24.31{col 48} 0.000{col 58} .8745765{col 70} 1.031531
      {txt}_trend{col 14}{c |}{res}{col 17}-.0268763{col 28} .0227371{col 38}   -1.18{col 48} 0.242{col 58}-.0723895{col 70} .0186369
       {txt}_cons{col 14}{c |}{res}{col 17} 1.355297{col 28} 1.511005{col 38}    0.90{col 48} 0.373{col 58}-1.669308{col 70} 4.379901
{txt}{hline 13}{c BT}{hline 64}

{com}. pperron cdpercen if year>1948, regr trend

{txt}Phillips-Perron test for unit root                 Number of obs   = {res}       60
                                                   {txt}Newey-West lags = {res}        3

{txt}{col 32}{hline 10} Interpolated Dickey-Fuller {hline 9}
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
{hline 78}
 Z(rho)       {res}   -21.006           -26.040           -19.980           -16.940
{txt} Z(t)         {res}    -3.838            -4.128            -3.490            -3.174
{txt}{hline 78}
MacKinnon approximate p-value for Z(t) = {res}0.0147

{txt}{hline 13}{c TT}{hline 64}
cdpercen{col 14}{c |}{col 21}Coef.{col 29}Std. Err.{col 44}t{col 49}P>|t|{col 59}[95% Conf. Interval]
{hline 13}{c +}{hline 64}
    cdpercen{col 14}{c |}
{col 10}L1. {c |}{res}{col 17} .6875443{col 28} .0839442{col 38}    8.19{col 48} 0.000{col 58}  .519449{col 70} .8556396
      {txt}_trend{col 14}{c |}{res}{col 17} -.063542{col 28} .0305618{col 38}   -2.08{col 48} 0.042{col 58}-.1247408{col 70}-.0023431
       {txt}_cons{col 14}{c |}{res}{col 17} 19.55945{col 28} 5.107721{col 38}    3.83{col 48} 0.000{col 58} 9.331419{col 70} 29.78749
{txt}{hline 13}{c BT}{hline 64}

{com}. 
. 
. *********************************
. **Table 5: Replication of V&K Table 1, Column 5
. *********************************
. 
. **Column 1: Exact Replication
. prais d.top1_cg l.top1_cg l.cdpercen l.divided l.union l.topmarg d.capgtax l.capgtax l.tbill_3 d.openness l.ln_rgdp05 d.real_sp l.real_sp l.shiller_hpi if year>1948

{txt}Iteration 0:  rho = {res}0.0000
{txt}Iteration 1:  rho = {res}-0.2394
{txt}Iteration 2:  rho = {res}-0.4411
{txt}Iteration 3:  rho = {res}-0.5150
{txt}Iteration 4:  rho = {res}-0.5295
{txt}Iteration 5:  rho = {res}-0.5318
{txt}Iteration 6:  rho = {res}-0.5322
{txt}Iteration 7:  rho = {res}-0.5322
{txt}Iteration 8:  rho = {res}-0.5322
{txt}Iteration 9:  rho = {res}-0.5322
{txt}Iteration 10:  rho = {res}-0.5322

{txt}Prais-Winsten AR(1) regression -- iterated estimates

      Source {c |}       SS       df       MS              Number of obs ={res}      60
{txt}{hline 13}{char +}{hline 30}           F( 13,    46) ={res}   15.26
    {txt}   Model {char |} {res} 78.1907319    13  6.01467168           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res}  18.126975    46  .394064675           {txt}R-squared     = {res} 0.8118
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.7586
    {txt}   Total {char |} {res} 96.3177069    59  1.63250351           {txt}Root MSE      = {res} .62775

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.top1_cg{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}top1_cg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.6476281{col 26}{space 2} .0991922{col 37}{space 1}   -6.53{col 46}{space 3}0.000{col 54}{space 4}-.8472916{col 67}{space 3}-.4479646
{txt}{space 12} {c |}
{space 4}cdpercen {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0521278{col 26}{space 2} .0157317{col 37}{space 1}   -3.31{col 46}{space 3}0.002{col 54}{space 4}-.0837941{col 67}{space 3}-.0204615
{txt}{space 12} {c |}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3681317{col 26}{space 2} .1696189{col 37}{space 1}   -2.17{col 46}{space 3}0.035{col 54}{space 4}-.7095568{col 67}{space 3}-.0267066
{txt}{space 12} {c |}
{space 7}union {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.2769394{col 26}{space 2} .0663274{col 37}{space 1}   -4.18{col 46}{space 3}0.000{col 54}{space 4}-.4104495{col 67}{space 3}-.1434292
{txt}{space 12} {c |}
{space 5}topmarg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0322088{col 26}{space 2} .0110745{col 37}{space 1}   -2.91{col 46}{space 3}0.006{col 54}{space 4}-.0545006{col 67}{space 3}-.0099171
{txt}{space 12} {c |}
{space 5}capgtax {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0266025{col 26}{space 2}   .03174{col 37}{space 1}   -0.84{col 46}{space 3}0.406{col 54}{space 4}-.0904918{col 67}{space 3} .0372868
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.0641702{col 26}{space 2} .0156361{col 37}{space 1}   -4.10{col 46}{space 3}0.000{col 54}{space 4} -.095644{col 67}{space 3}-.0326964
{txt}{space 12} {c |}
{space 5}tbill_3 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .0060328{col 26}{space 2} .0393913{col 37}{space 1}    0.15{col 46}{space 3}0.879{col 54}{space 4}-.0732578{col 67}{space 3} .0853235
{txt}{space 12} {c |}
{space 4}openness {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}  .201185{col 26}{space 2} .0984861{col 37}{space 1}    2.04{col 46}{space 3}0.047{col 54}{space 4} .0029428{col 67}{space 3} .3994272
{txt}{space 12} {c |}
{space 3}ln_rgdp05 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-5.038398{col 26}{space 2} 1.435971{col 37}{space 1}   -3.51{col 46}{space 3}0.001{col 54}{space 4}-7.928857{col 67}{space 3}-2.147938
{txt}{space 12} {c |}
{space 5}real_sp {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .0628492{col 26}{space 2} .0074679{col 37}{space 1}    8.42{col 46}{space 3}0.000{col 54}{space 4} .0478172{col 67}{space 3} .0778813
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .0329024{col 26}{space 2} .0084603{col 37}{space 1}    3.89{col 46}{space 3}0.000{col 54}{space 4} .0158728{col 67}{space 3} .0499321
{txt}{space 12} {c |}
{space 1}shiller_hpi {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .2830827{col 26}{space 2} .0713312{col 37}{space 1}    3.97{col 46}{space 3}0.000{col 54}{space 4} .1395004{col 67}{space 3}  .426665
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 58.99354{col 26}{space 2}   14.272{col 37}{space 1}    4.13{col 46}{space 3}0.000{col 54}{space 4} 30.26548{col 67}{space 3} 87.72159
{txt}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
         rho {c |}  {res}-.5322208
{txt}{hline 13}{c BT}{hline 64}
Durbin-Watson statistic (original)    {res}2.440411
{txt}Durbin-Watson statistic (transformed) {res}2.184901
{txt}
{com}. 
. **Column 2: ARDL Bounds Approach
. 
. *ARDL Bounds Test
. reg d.top1_cg l.top1_cg l.cdpercen l.divided l.union l.topmarg d.capgtax l.capgtax l.tbill_3 d.openness l.ln_rgdp05 d.real_sp l.real_sp l.shiller_hpi if year>1948

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      60
{txt}{hline 13}{char +}{hline 30}           F( 13,    46) ={res}   10.04
    {txt}   Model {char |} {res} 62.9747243    13  4.84420956           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} 22.1937816    46  .482473512           {txt}R-squared     = {res} 0.7394
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.6658
    {txt}   Total {char |} {res} 85.1685058    59    1.443534           {txt}Root MSE      = {res}  .6946

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.top1_cg{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}top1_cg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.9275714{col 26}{space 2} .1219474{col 37}{space 1}   -7.61{col 46}{space 3}0.000{col 54}{space 4}-1.173039{col 67}{space 3}-.6821041
{txt}{space 12} {c |}
{space 4}cdpercen {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.062945{col 26}{space 2}  .021859{col 37}{space 1}   -2.88{col 46}{space 3}0.006{col 54}{space 4}-.1069448{col 67}{space 3}-.0189452
{txt}{space 12} {c |}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} -.416979{col 26}{space 2} .2380204{col 37}{space 1}   -1.75{col 46}{space 3}0.086{col 54}{space 4}-.8960893{col 67}{space 3} .0621313
{txt}{space 12} {c |}
{space 7}union {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.4118818{col 26}{space 2}  .089128{col 37}{space 1}   -4.62{col 46}{space 3}0.000{col 54}{space 4}-.5912872{col 67}{space 3}-.2324764
{txt}{space 12} {c |}
{space 5}topmarg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0511843{col 26}{space 2} .0161828{col 37}{space 1}   -3.16{col 46}{space 3}0.003{col 54}{space 4}-.0837586{col 67}{space 3}-.0186099
{txt}{space 12} {c |}
{space 5}capgtax {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0491743{col 26}{space 2} .0400459{col 37}{space 1}   -1.23{col 46}{space 3}0.226{col 54}{space 4}-.1297825{col 67}{space 3} .0314339
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.0795897{col 26}{space 2} .0240567{col 37}{space 1}   -3.31{col 46}{space 3}0.002{col 54}{space 4}-.1280133{col 67}{space 3}-.0311662
{txt}{space 12} {c |}
{space 5}tbill_3 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}  .021953{col 26}{space 2}  .058414{col 37}{space 1}    0.38{col 46}{space 3}0.709{col 54}{space 4}-.0956283{col 67}{space 3} .1395344
{txt}{space 12} {c |}
{space 4}openness {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .2164615{col 26}{space 2} .1154926{col 37}{space 1}    1.87{col 46}{space 3}0.067{col 54}{space 4}-.0160131{col 67}{space 3} .4489361
{txt}{space 12} {c |}
{space 3}ln_rgdp05 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-8.120645{col 26}{space 2} 1.869451{col 37}{space 1}   -4.34{col 46}{space 3}0.000{col 54}{space 4}-11.88365{col 67}{space 3}-4.357636
{txt}{space 12} {c |}
{space 5}real_sp {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .0599669{col 26}{space 2} .0102503{col 37}{space 1}    5.85{col 46}{space 3}0.000{col 54}{space 4}  .039334{col 67}{space 3} .0805997
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .0535094{col 26}{space 2}   .01092{col 37}{space 1}    4.90{col 46}{space 3}0.000{col 54}{space 4} .0315286{col 67}{space 3} .0754903
{txt}{space 12} {c |}
{space 1}shiller_hpi {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .4291228{col 26}{space 2} .1018925{col 37}{space 1}    4.21{col 46}{space 3}0.000{col 54}{space 4} .2240239{col 67}{space 3} .6342217
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 91.12931{col 26}{space 2} 18.09525{col 37}{space 1}    5.04{col 46}{space 3}0.000{col 54}{space 4} 54.70546{col 67}{space 3} 127.5532
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. *Portmanteau test of residuals (as discussed in the text)
. predict res_ardl if year>1948, r
{txt}(37 missing values generated)

{com}. wntestq res_ardl

{txt}Portmanteau test for white noise
{hline 39}
 Portmanteau (Q) statistic = {res}   36.9095
{txt} Prob > chi2({res}28{txt})           = {res}    0.1209
{txt}
{com}. *F-test on lagged variables (must use correct critical value)
. test l.top1_cg l.cdpercen l.divided l.union l.topmarg l.capgtax l.tbill_3 l.ln_rgdp05 l.real_sp l.shiller_hpi

{p 0 7}{space 1}{text:( 1)}{space 1} {res}L.top1_cg = 0{p_end}
{p 0 7}{space 1}{text:( 2)}{space 1} L.cdpercen = 0{p_end}
{p 0 7}{space 1}{text:( 3)}{space 1} L.divided = 0{p_end}
{p 0 7}{space 1}{text:( 4)}{space 1} L.union = 0{p_end}
{p 0 7}{space 1}{text:( 5)}{space 1} L.topmarg = 0{p_end}
{p 0 7}{space 1}{text:( 6)}{space 1} L.capgtax = 0{p_end}
{p 0 7}{space 1}{text:( 7)}{space 1} L.tbill_3 = 0{p_end}
{p 0 7}{space 1}{text:( 8)}{space 1} L.ln_rgdp05 = 0{p_end}
{p 0 7}{space 1}{text:( 9)}{space 1} L.real_sp = 0{p_end}
{p 0 7}{space 1}{text:(10)}{space 1} L.shiller_hpi = 0{p_end}

{txt}       F( 10,    46) ={res}    6.54
{txt}{col 13}Prob > F ={res}    0.0000
{txt}
{com}. 
. 
. ****************
. *Table A-1, BG test for serially independent residuals
. reg d.top1_cg l.top1_cg dl.top1_cg l.cdpercen l.divided l.union l.topmarg d.capgtax dl.capgtax l.capgtax l.tbill_3 d.openness dl.openness l.ln_rgdp05 d.real_sp dl.real_sp l.real_sp l.shiller_hpi if year>1948

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      60
{txt}{hline 13}{char +}{hline 30}           F( 17,    42) ={res}   10.38
    {txt}   Model {char |} {res} 68.7940266    17  4.04670745           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} 16.3744792    42  .389868552           {txt}R-squared     = {res} 0.8077
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.7299
    {txt}   Total {char |} {res} 85.1685058    59    1.443534           {txt}Root MSE      = {res} .62439

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.top1_cg{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}top1_cg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.8796547{col 26}{space 2} .1313038{col 37}{space 1}   -6.70{col 46}{space 3}0.000{col 54}{space 4}-1.144637{col 67}{space 3}-.6146729
{txt}{space 9}LD. {c |}{col 14}{res}{space 2}-.2397603{col 26}{space 2} .1021867{col 37}{space 1}   -2.35{col 46}{space 3}0.024{col 54}{space 4}-.4459815{col 67}{space 3}-.0335392
{txt}{space 12} {c |}
{space 4}cdpercen {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0641754{col 26}{space 2}  .020392{col 37}{space 1}   -3.15{col 46}{space 3}0.003{col 54}{space 4}-.1053282{col 67}{space 3}-.0230226
{txt}{space 12} {c |}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.4175275{col 26}{space 2} .2207873{col 37}{space 1}   -1.89{col 46}{space 3}0.066{col 54}{space 4}-.8630942{col 67}{space 3} .0280392
{txt}{space 12} {c |}
{space 7}union {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3621738{col 26}{space 2} .0871259{col 37}{space 1}   -4.16{col 46}{space 3}0.000{col 54}{space 4} -.538001{col 67}{space 3}-.1863466
{txt}{space 12} {c |}
{space 5}topmarg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0444038{col 26}{space 2} .0154218{col 37}{space 1}   -2.88{col 46}{space 3}0.006{col 54}{space 4}-.0755263{col 67}{space 3}-.0132812
{txt}{space 12} {c |}
{space 5}capgtax {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0789811{col 26}{space 2} .0371486{col 37}{space 1}   -2.13{col 46}{space 3}0.039{col 54}{space 4}-.1539499{col 67}{space 3}-.0040123
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .0646288{col 26}{space 2} .0378227{col 37}{space 1}    1.71{col 46}{space 3}0.095{col 54}{space 4}-.0117005{col 67}{space 3} .1409581
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.1053996{col 26}{space 2} .0248693{col 37}{space 1}   -4.24{col 46}{space 3}0.000{col 54}{space 4}-.1555879{col 67}{space 3}-.0552113
{txt}{space 12} {c |}
{space 5}tbill_3 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0076086{col 26}{space 2} .0581538{col 37}{space 1}   -0.13{col 46}{space 3}0.897{col 54}{space 4}-.1249677{col 67}{space 3} .1097505
{txt}{space 12} {c |}
{space 4}openness {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .1693609{col 26}{space 2} .1132812{col 37}{space 1}    1.50{col 46}{space 3}0.142{col 54}{space 4}-.0592498{col 67}{space 3} .3979715
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .1372365{col 26}{space 2} .1069741{col 37}{space 1}    1.28{col 46}{space 3}0.207{col 54}{space 4} -.078646{col 67}{space 3}  .353119
{txt}{space 12} {c |}
{space 3}ln_rgdp05 {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-6.535253{col 26}{space 2} 1.853719{col 37}{space 1}   -3.53{col 46}{space 3}0.001{col 54}{space 4}-10.27621{col 67}{space 3}-2.794296
{txt}{space 12} {c |}
{space 5}real_sp {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .0577901{col 26}{space 2} .0110168{col 37}{space 1}    5.25{col 46}{space 3}0.000{col 54}{space 4} .0355572{col 67}{space 3}  .080023
{txt}{space 9}LD. {c |}{col 14}{res}{space 2} .0282359{col 26}{space 2} .0132274{col 37}{space 1}    2.13{col 46}{space 3}0.039{col 54}{space 4} .0015419{col 67}{space 3} .0549299
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .0419416{col 26}{space 2} .0110315{col 37}{space 1}    3.80{col 46}{space 3}0.000{col 54}{space 4} .0196792{col 67}{space 3}  .064204
{txt}{space 12} {c |}
{space 1}shiller_hpi {c |}
{space 9}L1. {c |}{col 14}{res}{space 2} .3832604{col 26}{space 2} .0969554{col 37}{space 1}    3.95{col 46}{space 3}0.000{col 54}{space 4} .1875964{col 67}{space 3} .5789244
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 77.51605{col 26}{space 2} 18.17296{col 37}{space 1}    4.27{col 46}{space 3}0.000{col 54}{space 4} 40.84153{col 67}{space 3} 114.1906
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. estat bgodfrey, lags(1/2)

{txt}Breusch-Godfrey LM test for autocorrelation
{hline 13}{c TT}{hline 61}
{col 5}lags({it:p}){col 14}{c |}{col 25}chi2{col 44}df{col 63}Prob > chi2
{hline 13}{c +}{hline 61}
{col 6}  1{col 14}{c |}{res}{col 20}     2.261{col 43}  1{col 63}  0.1327
{txt}{col 6}  2{col 14}{c |}{res}{col 20}     3.706{col 43}  2{col 63}  0.1568
{txt}{hline 13}{c BT}{hline 61}
{col 25}H0: no serial correlation

{com}. 
. *****************************************************
. **Robustness check reported in footnote
. **with short and long-term effects
. reg d.top1_cg l.top1_cg l.cdpercen l.divided d.union l.union d.topmarg l.topmarg d.capgtax l.capgtax d.tbill_3 l.tbill_3 d.openness d.ln_rgdp05 l.ln_rgdp05 d.real_sp l.real_sp d.shiller_hpi l.shiller_hpi if year>1948

      {txt}Source {c |}       SS       df       MS              Number of obs ={res}      60
{txt}{hline 13}{char +}{hline 30}           F( 18,    41) ={res}    6.55
    {txt}   Model {char |} {res} 63.1879231    18  3.51044017           {txt}Prob > F      = {res} 0.0000
    {txt}Residual {char |} {res} 21.9805827    41  .536111774           {txt}R-squared     = {res} 0.7419
{txt}{hline 13}{char +}{hline 30}           Adj R-squared = {res} 0.6286
    {txt}   Total {char |} {res} 85.1685058    59    1.443534           {txt}Root MSE      = {res}  .7322

{txt}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{col 1}   D.top1_cg{col 14}{c |}      Coef.{col 26}   Std. Err.{col 38}      t{col 46}   P>|t|{col 54}     [95% Con{col 67}f. Interval]
{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{space 5}top1_cg {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.9478322{col 26}{space 2} .1530614{col 37}{space 1}   -6.19{col 46}{space 3}0.000{col 54}{space 4}-1.256946{col 67}{space 3}-.6387184
{txt}{space 12} {c |}
{space 4}cdpercen {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.0707799{col 26}{space 2} .0279542{col 37}{space 1}   -2.53{col 46}{space 3}0.015{col 54}{space 4}-.1272346{col 67}{space 3}-.0143252
{txt}{space 12} {c |}
{space 5}divided {c |}
{space 9}L1. {c |}{col 14}{res}{space 2}-.3910987{col 26}{space 2} .2902648{col 37}{space 1}   -1.35{col 46}{space 3}0.185{col 54}{space 4}-.9773005{col 67}{space 3}  .195103
{txt}{space 12} {c |}
{space 7}union {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .1315483{col 26}{space 2} .2391429{col 37}{space 1}    0.55{col 46}{space 3}0.585{col 54}{space 4}-.3514105{col 67}{space 3} .6145072
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.4037158{col 26}{space 2} .1018123{col 37}{space 1}   -3.97{col 46}{space 3}0.000{col 54}{space 4}  -.60933{col 67}{space 3}-.1981016
{txt}{space 12} {c |}
{space 5}topmarg {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0016834{col 26}{space 2} .0276667{col 37}{space 1}   -0.06{col 46}{space 3}0.952{col 54}{space 4}-.0575575{col 67}{space 3} .0541906
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.0513897{col 26}{space 2} .0179484{col 37}{space 1}   -2.86{col 46}{space 3}0.007{col 54}{space 4}-.0876372{col 67}{space 3}-.0151422
{txt}{space 12} {c |}
{space 5}capgtax {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0469759{col 26}{space 2} .0457489{col 37}{space 1}   -1.03{col 46}{space 3}0.311{col 54}{space 4}-.1393676{col 67}{space 3} .0454157
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-.0798562{col 26}{space 2} .0274244{col 37}{space 1}   -2.91{col 46}{space 3}0.006{col 54}{space 4}-.1352408{col 67}{space 3}-.0244716
{txt}{space 12} {c |}
{space 5}tbill_3 {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .0005968{col 26}{space 2} .1227198{col 37}{space 1}    0.00{col 46}{space 3}0.996{col 54}{space 4}-.2472408{col 67}{space 3} .2484344
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .0273065{col 26}{space 2} .0697564{col 37}{space 1}    0.39{col 46}{space 3}0.697{col 54}{space 4}-.1135694{col 67}{space 3} .1681824
{txt}{space 12} {c |}
{space 4}openness {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .2126775{col 26}{space 2} .1568433{col 37}{space 1}    1.36{col 46}{space 3}0.183{col 54}{space 4} -.104074{col 67}{space 3} .5294291
{txt}{space 12} {c |}
{space 3}ln_rgdp05 {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} 2.273602{col 26}{space 2} 6.084253{col 37}{space 1}    0.37{col 46}{space 3}0.711{col 54}{space 4} -10.0138{col 67}{space 3}   14.561
{txt}{space 9}L1. {c |}{col 14}{res}{space 2}-7.886526{col 26}{space 2} 2.049699{col 37}{space 1}   -3.85{col 46}{space 3}0.000{col 54}{space 4}-12.02598{col 67}{space 3}-3.747074
{txt}{space 12} {c |}
{space 5}real_sp {c |}
{space 9}D1. {c |}{col 14}{res}{space 2} .0586559{col 26}{space 2}  .011553{col 37}{space 1}    5.08{col 46}{space 3}0.000{col 54}{space 4} .0353241{col 67}{space 3} .0819877
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .0530864{col 26}{space 2} .0121516{col 37}{space 1}    4.37{col 46}{space 3}0.000{col 54}{space 4} .0285457{col 67}{space 3} .0776271
{txt}{space 12} {c |}
{space 1}shiller_hpi {c |}
{space 9}D1. {c |}{col 14}{res}{space 2}-.0398547{col 26}{space 2} .2071312{col 37}{space 1}   -0.19{col 46}{space 3}0.848{col 54}{space 4}-.4581646{col 67}{space 3} .3784553
{txt}{space 9}L1. {c |}{col 14}{res}{space 2} .4342485{col 26}{space 2} .1096709{col 37}{space 1}    3.96{col 46}{space 3}0.000{col 54}{space 4} .2127636{col 67}{space 3} .6557335
{txt}{space 12} {c |}
{space 7}_cons {c |}{col 14}{res}{space 2} 89.58398{col 26}{space 2} 20.13036{col 37}{space 1}    4.45{col 46}{space 3}0.000{col 54}{space 4} 48.92989{col 67}{space 3} 130.2381
{txt}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 8}{hline 13}{hline 12}
{res}{txt}
{com}. 
. test l.top1_cg l.cdpercen l.divided l.union l.topmarg l.capgtax l.tbill_3 l.ln_rgdp05 l.real_sp  l.shiller_hpi

{p 0 7}{space 1}{text:( 1)}{space 1} {res}L.top1_cg = 0{p_end}
{p 0 7}{space 1}{text:( 2)}{space 1} L.cdpercen = 0{p_end}
{p 0 7}{space 1}{text:( 3)}{space 1} L.divided = 0{p_end}
{p 0 7}{space 1}{text:( 4)}{space 1} L.union = 0{p_end}
{p 0 7}{space 1}{text:( 5)}{space 1} L.topmarg = 0{p_end}
{p 0 7}{space 1}{text:( 6)}{space 1} L.capgtax = 0{p_end}
{p 0 7}{space 1}{text:( 7)}{space 1} L.tbill_3 = 0{p_end}
{p 0 7}{space 1}{text:( 8)}{space 1} L.ln_rgdp05 = 0{p_end}
{p 0 7}{space 1}{text:( 9)}{space 1} L.real_sp = 0{p_end}
{p 0 7}{space 1}{text:(10)}{space 1} L.shiller_hpi = 0{p_end}

{txt}       F( 10,    41) ={res}    4.32
{txt}{col 13}Prob > F ={res}    0.0004
{txt}
{com}. 
. 
. 
{txt}end of do-file

